نکاتی در زمینه سیاست دفاعی نرخ بهره و نوسانات نرخ ارز

In this paper, the effectiveness of an interest rate defense policy is investigated theoretically. Chen [Chen, Shiu-Sheng, 2006. Revisiting the interest rate–exchange rate nexus: a Markov switching approach. Journal of Development Economics 79 (1), 208–224] has documented an empirical regularity that higher interest rates are associated with higher exchange rate volatility. In order to account for the empirical findings, a simple theoretical model by incorporating interest rate rules in a noise trader model is proposed.

There are debates of whether a higher interest rate stabilizes exchange rates. A number of studies have empirically investigated the effectiveness of interest rate defense, but failed to find a systematic relationship between interest rates and exchange rates. Using a nonlinear Markov-switching framework, a recent paper by Chen (2006) has addressed an empirical regularity that higher interest rates are associated with higher exchange rate volatility. The paper concludes that high interest rate policy is unable to defend the exchange rate. In order to explain the empirical regularity, I developed a simple theoretical model that modifies the framework of microstructural theory of exchange rates in Jeanne and Rose (2002). Their model mixes elements from two disparate branches of economic theory: the macroeconomic theory of exchange rate determination and the noise trading approach to asset price volatility. Instead of using a conventional monetary model of the exchange rate on the macroeconomic side, I assume that an interest rate rule is adopted to defend the exchange rate in my modification. To the best of my knowledge, this is the first paper to investigate theoretically the relationship between interest rate defense policy and exchange rate volatility. This modified model has the features of multiple equilibria, which consequently imply a possible switching between the regimes of high and low volatility of the exchange rates, in other words, a shift between “crisis” and “tranquil” regimes. Furthermore, incorporating an interest rate rule in the model helps me to investigate the effects of monetary policy, especially when the government intends to raise nominal interest rates to stabilize exchange rates. It will be shown that under plausible conditions, higher exchange rate volatility is associated with higher interest rates. In this simple, stylized model, a tightened monetary policy induces capital inflow as predicted by conventional wisdom. However, tightened monetary policy attracts more noise trading thus increasing exchange rate volatility when noise traders are present in the financial market. The paper is structured as follows. Section 2 presents a model of exchange rates determination. The concluding remarks are offered in Section 3.

In this paper the effectiveness of interest rate defense policy is investigated theoretically. Chen (2006) has documented an empirical regularity that higher interest rates are associated with a longer length of spells of high exchange rate volatility and a shorter length of spells of low exchange rate volatility. Hence, the paper suggests that any structural model of the interest rate–exchange rate nexus ought to predict this relationship between interest rates and exchange rate volatility. Clearly, the simple, stylized model proposed in this paper is consistent with the empirical regularity and provides one of cause and effect.